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In general terms, no. Yet evidence is still trickling in from the US, Korea and Canada. One of the earliest studies was performed in 1993 by Hamilton, et al. And found nothing of significance whether funds outperformed one another, were equal, or if ethical funds were inferior in returns. From 1980 to 1991, the funds analyzed provided a return of -1.68% for conventional funds and -0.76 for ethical investing. Neither of these figures were significant at the 5% confidence level.

In the 2007 study by Bauer, et al, they see little difference between ethical portfolios and regular mutual funds. Even when adding new benchmarks and control variables, no significance has been found. To account for this, the authors make several points: Ethical investments are often sector specific. It seems that firms dealing in military technology, energy, gambling, etc., are screed out right away. Hence, there is a lack of diversification in the ethical fund. At first, motivated ethical investors frontload stocks, making them appear better than average. But this soon fades, leaving a lack of significant difference.

In another study by Bauer, et al (2004) he also uses multivariate models and control variables to test for significance of ethical funds in Australia. There is none for the years 1992-2003. However, that changes between 1992-1996, where ethical funds radically under-perform against their peers. What makes this paper different is that, over time, ethical funds begin to do well, suggesting a "learning curve" of sorts. The causal variable for poor performance is previous poor performance. But that changes as time changes. By 2003, using 1992 as a mark, there is no longer any financial penalty for ethical investing. Of course, there are no financial benefits either.

In the Korean context, not much changes. The KEJI index is the first Korean ethical index, and hence, this is the listing used. One conclusion is that, if the stakeholders are controlled for, there is a significant connection between ethical investments and performance. The stakeholder problem refers to the concept that social variables differ in terms of who counts as an "ethical" company. Different indices have different measures, and so do ...

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